Shephard, Neil; Rydberg, Tina Hviid - Department of Economics, Oxford University - 1999
In this paper we extend Rydberg-Shephards acivity, direction and size decomposition of trade-by-trade price movements to the mulvariate case. We illustrate our ideas using a bivariate modelling problem - modelling the evolution of the prices of Ford and GM shares. Throughout we use the...